No specific penalties (i.e., the same penalties you get for use ranged weapons while in melee). TWF penalties only apply if attacking more times than the character's normal iteratives.
There's a Sword and Pistol feat that mitigates some of the melee gunning problems. The Snap Shot chain is also useful.
You run it like you would TWF, however you may have trouble reloading your pistol since you need a free hand for that and there aren't any feats to help. You still take AoOs if you fire at close range with the pistol without a feat too.
